It's just that many people also claim to be engaged in high-frequency quantization. In fact, they are all teasing B, staring at the so-called one-minute K-line and one-minute macd, making an automatic trading program by themselves, and then telling others "I am quant", yes, in English; Others build AI through python, automatically collect historical features for prediction, and choose high probability direction, which is more advanced than the former. -but these two kinds are mostly lost goods, and occasionally there will be some success. These are just people who claim to be quantitative traders, not really top-notch.
At present, the mainstream textbooks on the market mainly focus on the above two kinds, so I won't tell you the real way to make money. What I tell you is not to make money. )
How do high-frequency quantitative transactions that really stand at the top of the contempt chain make money?
-they earn risk-free profits, and the method used is actually not complicated, that is, high-frequency arbitrage. The profit of each order is very small, but when the quantity is large, they get huge profits. What they spell is network speed and algorithm.
There are many kinds of high-frequency arbitrage. Let me briefly introduce them below.
1, one is foreign exchange arbitrage. If the dollar appreciates against the yen now, but if the yen remains unchanged against the euro and the euro remains unchanged against the dollar now, then you can change the dollar into yen, then the yen into euros, and finally the euro into dollars. In this round of operation, you will have more dollars in your pocket than at the beginning, which is a risk-free profit. What if there is no dollar in hand? You can short USD/JPY, JPY/EUR and EUR/USD in the forward foreign exchange market at the same time. When these markets generate profits, you can wait for delivery or liquidation.
It is more people who do this, and finally push the tripartite exchange rate to a new equilibrium point, and the whole international exchange rate market changes accordingly, and finally the arbitrage space is compressed to the extreme-and the curse of high-frequency quantification is speed, and this operation is carried out earlier than other participants before the market is completely transmitted.
2. The other is the interest rate market. For example, now that the Federal Reserve has announced a rate hike, one of the results is that the interest rate in the interbank lending market in the US dollar area has risen. If the exchange rate of the US dollar against the euro has not changed, the interbank lending rate in the euro zone has not changed. If it is a cross-border bank or has interest rate swap cooperation with overseas banks, it can borrow euros from the euro zone, convert them into dollars in the foreign exchange market, and then borrow dollars from the interbank lending market in the dollar zone to earn spreads. If your ultimate goal is to increase the euro in your pocket, you can also make a forward trading contract with an agreed exchange rate in the forward foreign exchange market and wait for delivery. (If the exchange rate of the US dollar against the euro in the futures market is not much different from that in the spot market)
In addition, if the Fed raises interest rates mainly by "shrinking the table", that is, selling its own bonds, then the final result is that the bond price in the US dollar area will fall, which means that the yield will rise. If the price of euro zone bonds remains unchanged and the exchange rate of the US dollar against the euro remains unchanged, you can sell euro bonds, exchange the exchanged euros for US dollars in the foreign exchange market, buy US dollar bonds with US dollars, and sign an exchange rate close to the spot market exchange rate in the forward foreign exchange market. In this way, in the end, you can use the dollar bonds to get more dollars when the dollar bonds expire, and then take this dollar and wait for your exchange rate futures contract to be delivered due in exchange for euros. In the end, you will get more euros than you started.
Of course, if you don't have Eurobonds at first, you can short Eurobonds in the bond futures market, make multi-dollar bonds, and make multi-dollar exchange rates against the euro at the same time. You can wait for delivery, or close your position when these markets generate profits.
If more people do this, it will push up the exchange rate of the US dollar against the euro, or push up the interbank lending rate in the euro zone, or raise the price of US dollar bonds and lower the price of euro bonds, and finally compress the arbitrage space to the extreme.
3. High-frequency arbitrage in commodity futures.
This is simpler than the above two, which I introduced in other articles.
One is arbitrage between spot market and futures market. It's simple. The spot price of a certain variety is so much, but the futures price is much higher than the spot price. You can buy in the spot market, short in the futures market and wait for delivery.
More people do this, which will inevitably depress the price of the futures market and compress the arbitrage space to the extreme.
So generally speaking, the futures price is lower than the spot price.
Similarly, if the futures price is higher in the distant month than in the recent month, you can use an authorized account to make more deliveries in the near month, and at the same time use an authorized account to make short delivery in the distant month, then wait for delivery, buy delivery at a low price in the near month, and sell delivery at a high price in the distant month to earn the difference. Of course, you can also close your position when the two contracts generate profits, instead of waiting for delivery.
Therefore, generally speaking, the futures price is lower in far months than in recent months.
Of course, the above factors have not been taken into account, such as storage costs, logistics freight and so on. Plus these will be more complicated.
These methods are just the tip of the iceberg. There are still many ways to play in this market, which are not mentioned in the textbook.
For example, arbitrage between commodity market and foreign exchange market, there are several crude oil spot and futures markets in the world, which are different settlement currencies. What can you do if the price of crude oil changes in one market and the exchange rate does not change in another market? Think for yourself.
In addition, gold, silver, non-ferrous metals and even agricultural products can do this.
The above-mentioned high-frequency quantitative arbitrage trading is actually the oldest way and also stands at the top of the pyramid. In the past, we relied on a group of accountants and actuaries to press the computer with our fingers and carry our mobile phones on our shoulders. Now we are struggling to optimize the automation algorithm and network speed.
It can be said that because of the existence of these people, the arbitrage space has been compressed to the extreme, and we ordinary retail investors simply can't grab a soup.